def test_slippage_and_commission_dispatching(self): blotter = SimulationBlotter( equity_slippage=FixedSlippage(spread=0.0), future_slippage=FixedSlippage(spread=2.0), equity_commission=PerTrade(cost=1.0), future_commission=PerTrade(cost=2.0), ) blotter.order(self.asset_24, 1, MarketOrder()) blotter.order(self.future_cl, 1, MarketOrder()) bar_data = self.create_bardata( simulation_dt_func=lambda: self.sim_params.sessions[-1], ) txns, commissions, _ = blotter.get_transactions(bar_data) # The equity transaction should have the same price as its current # price because the slippage spread is zero. Its commission should be # $1.00. equity_txn = txns[0] self.assertEqual( equity_txn.price, bar_data.current(equity_txn.asset, 'price'), ) self.assertEqual(commissions[0]['cost'], 1.0) # The future transaction price should be 1.0 more than its current # price because half of the 'future_slippage' spread is added. Its # commission should be $2.00. future_txn = txns[1] self.assertEqual( future_txn.price, bar_data.current(future_txn.asset, 'price') + 1.0, ) self.assertEqual(commissions[1]['cost'], 2.0)
def test_slippage_and_commission_dispatching(self): blotter = SimulationBlotter( self.sim_params, equity_slippage=FixedSlippage(spread=0.0), future_slippage=FixedSlippage(spread=2.0), equity_commission=PerTrade(cost=1.0), future_commission=PerTrade(cost=2.0), ) blotter.order(self.asset_24, 1, MarketOrder()) blotter.order(self.future_cl, 1, MarketOrder()) bar_data = self.create_bardata( simulation_dt_func=lambda: self.sim_params.sessions[-1], ) txns, commissions, _ = blotter.get_transactions(bar_data) # The equity transaction should have the same price as its current # price because the slippage spread is zero. Its commission should be # $1.00. equity_txn = txns[0] self.assertEqual( equity_txn.price, bar_data.current(equity_txn.asset, 'price'), ) self.assertEqual(commissions[0]['cost'], 1.0) # The future transaction price should be 1.0 more than its current # price because half of the 'future_slippage' spread is added. Its # commission should be $2.00. future_txn = txns[1] self.assertEqual( future_txn.price, bar_data.current(future_txn.asset, 'price') + 1.0, ) self.assertEqual(commissions[1]['cost'], 2.0)
def test_order_hold(self): """ Held orders act almost identically to open orders, except for the status indication. When a fill happens, the order should switch status to OPEN/FILLED as necessary """ blotter = SimulationBlotter(self.sim_params, equity_slippage=VolumeShareSlippage()) # Nothing happens on held of a non-existent order blotter.hold(56) self.assertEqual(blotter.new_orders, []) open_id = blotter.order(self.asset_24, 100, MarketOrder()) open_order = blotter.open_orders[self.asset_24][0] self.assertEqual(open_order.id, open_id) blotter.hold(open_id) self.assertEqual(len(blotter.new_orders), 1) self.assertEqual(len(blotter.open_orders[self.asset_24]), 1) held_order = blotter.new_orders[0] self.assertEqual(held_order.status, ORDER_STATUS.HELD) self.assertEqual(held_order.reason, '') blotter.cancel(held_order.id) self.assertEqual(len(blotter.new_orders), 1) self.assertEqual(len(blotter.open_orders[self.asset_24]), 0) cancelled_order = blotter.new_orders[0] self.assertEqual(cancelled_order.id, held_order.id) self.assertEqual(cancelled_order.status, ORDER_STATUS.CANCELLED) for data in ([100, self.sim_params.sessions[0]], [400, self.sim_params.sessions[1]]): # Verify that incoming fills will change the order status. trade_amt = data[0] dt = data[1] order_size = 100 expected_filled = int(trade_amt * DEFAULT_EQUITY_VOLUME_SLIPPAGE_BAR_LIMIT) expected_open = order_size - expected_filled expected_status = ORDER_STATUS.OPEN if expected_open else \ ORDER_STATUS.FILLED blotter = SimulationBlotter(self.sim_params, equity_slippage=VolumeShareSlippage()) open_id = blotter.order(self.asset_24, order_size, MarketOrder()) open_order = blotter.open_orders[self.asset_24][0] self.assertEqual(open_id, open_order.id) blotter.hold(open_id) held_order = blotter.new_orders[0] filled_order = None blotter.current_dt = dt bar_data = self.create_bardata(simulation_dt_func=lambda: dt, ) txns, _, _ = blotter.get_transactions(bar_data) for txn in txns: filled_order = blotter.orders[txn.order_id] self.assertEqual(filled_order.id, held_order.id) self.assertEqual(filled_order.status, expected_status) self.assertEqual(filled_order.filled, expected_filled) self.assertEqual(filled_order.open_amount, expected_open)
def test_order_rejection(self): blotter = SimulationBlotter(self.sim_params) # Reject a nonexistent order -> no order appears in new_order, # no exceptions raised out blotter.reject(56) self.assertEqual(blotter.new_orders, []) # Basic tests of open order behavior open_order_id = blotter.order(self.asset_24, 100, MarketOrder()) second_order_id = blotter.order(self.asset_24, 50, MarketOrder()) self.assertEqual(len(blotter.open_orders[self.asset_24]), 2) open_order = blotter.open_orders[self.asset_24][0] self.assertEqual(open_order.status, ORDER_STATUS.OPEN) self.assertEqual(open_order.id, open_order_id) self.assertIn(open_order, blotter.new_orders) # Reject that order immediately (same bar, i.e. still in new_orders) blotter.reject(open_order_id) self.assertEqual(len(blotter.new_orders), 2) self.assertEqual(len(blotter.open_orders[self.asset_24]), 1) still_open_order = blotter.new_orders[0] self.assertEqual(still_open_order.id, second_order_id) self.assertEqual(still_open_order.status, ORDER_STATUS.OPEN) rejected_order = blotter.new_orders[1] self.assertEqual(rejected_order.status, ORDER_STATUS.REJECTED) self.assertEqual(rejected_order.reason, '') # Do it again, but reject it at a later time (after tradesimulation # pulls it from new_orders) blotter = SimulationBlotter(self.sim_params) new_open_id = blotter.order(self.asset_24, 10, MarketOrder()) new_open_order = blotter.open_orders[self.asset_24][0] self.assertEqual(new_open_id, new_open_order.id) # Pretend that the trade simulation did this. blotter.new_orders = [] rejection_reason = "Not enough cash on hand." blotter.reject(new_open_id, reason=rejection_reason) rejected_order = blotter.new_orders[0] self.assertEqual(rejected_order.id, new_open_id) self.assertEqual(rejected_order.status, ORDER_STATUS.REJECTED) self.assertEqual(rejected_order.reason, rejection_reason) # You can't reject a filled order. # Reset for paranoia blotter = SimulationBlotter(self.sim_params) blotter.slippage_models[Equity] = FixedSlippage() filled_id = blotter.order(self.asset_24, 100, MarketOrder()) filled_order = None blotter.current_dt = self.sim_params.sessions[-1] bar_data = self.create_bardata( simulation_dt_func=lambda: self.sim_params.sessions[-1], ) txns, _, closed_orders = blotter.get_transactions(bar_data) for txn in txns: filled_order = blotter.orders[txn.order_id] blotter.prune_orders(closed_orders) self.assertEqual(filled_order.id, filled_id) self.assertIn(filled_order, blotter.new_orders) self.assertEqual(filled_order.status, ORDER_STATUS.FILLED) self.assertNotIn(filled_order, blotter.open_orders[self.asset_24]) blotter.reject(filled_id) updated_order = blotter.orders[filled_id] self.assertEqual(updated_order.status, ORDER_STATUS.FILLED)
def test_order_hold(self): """ Held orders act almost identically to open orders, except for the status indication. When a fill happens, the order should switch status to OPEN/FILLED as necessary """ blotter = SimulationBlotter(equity_slippage=VolumeShareSlippage()) # Nothing happens on held of a non-existent order blotter.hold(56) self.assertEqual(blotter.new_orders, []) open_id = blotter.order(self.asset_24, 100, MarketOrder()) open_order = blotter.open_orders[self.asset_24][0] self.assertEqual(open_order.id, open_id) blotter.hold(open_id) self.assertEqual(len(blotter.new_orders), 1) self.assertEqual(len(blotter.open_orders[self.asset_24]), 1) held_order = blotter.new_orders[0] self.assertEqual(held_order.status, ORDER_STATUS.HELD) self.assertEqual(held_order.reason, '') blotter.cancel(held_order.id) self.assertEqual(len(blotter.new_orders), 1) self.assertEqual(len(blotter.open_orders[self.asset_24]), 0) cancelled_order = blotter.new_orders[0] self.assertEqual(cancelled_order.id, held_order.id) self.assertEqual(cancelled_order.status, ORDER_STATUS.CANCELLED) for data in ([100, self.sim_params.sessions[0]], [400, self.sim_params.sessions[1]]): # Verify that incoming fills will change the order status. trade_amt = data[0] dt = data[1] order_size = 100 expected_filled = int(trade_amt * DEFAULT_EQUITY_VOLUME_SLIPPAGE_BAR_LIMIT) expected_open = order_size - expected_filled expected_status = ORDER_STATUS.OPEN if expected_open else \ ORDER_STATUS.FILLED blotter = SimulationBlotter(equity_slippage=VolumeShareSlippage()) open_id = blotter.order(self.asset_24, order_size, MarketOrder()) open_order = blotter.open_orders[self.asset_24][0] self.assertEqual(open_id, open_order.id) blotter.hold(open_id) held_order = blotter.new_orders[0] filled_order = None blotter.current_dt = dt bar_data = self.create_bardata( simulation_dt_func=lambda: dt, ) txns, _, _ = blotter.get_transactions(bar_data) for txn in txns: filled_order = blotter.orders[txn.order_id] self.assertEqual(filled_order.id, held_order.id) self.assertEqual(filled_order.status, expected_status) self.assertEqual(filled_order.filled, expected_filled) self.assertEqual(filled_order.open_amount, expected_open)
def test_order_rejection(self): blotter = SimulationBlotter() # Reject a nonexistent order -> no order appears in new_order, # no exceptions raised out blotter.reject(56) self.assertEqual(blotter.new_orders, []) # Basic tests of open order behavior open_order_id = blotter.order(self.asset_24, 100, MarketOrder()) second_order_id = blotter.order(self.asset_24, 50, MarketOrder()) self.assertEqual(len(blotter.open_orders[self.asset_24]), 2) open_order = blotter.open_orders[self.asset_24][0] self.assertEqual(open_order.status, ORDER_STATUS.OPEN) self.assertEqual(open_order.id, open_order_id) self.assertIn(open_order, blotter.new_orders) # Reject that order immediately (same bar, i.e. still in new_orders) blotter.reject(open_order_id) self.assertEqual(len(blotter.new_orders), 2) self.assertEqual(len(blotter.open_orders[self.asset_24]), 1) still_open_order = blotter.new_orders[0] self.assertEqual(still_open_order.id, second_order_id) self.assertEqual(still_open_order.status, ORDER_STATUS.OPEN) rejected_order = blotter.new_orders[1] self.assertEqual(rejected_order.status, ORDER_STATUS.REJECTED) self.assertEqual(rejected_order.reason, '') # Do it again, but reject it at a later time (after tradesimulation # pulls it from new_orders) blotter = SimulationBlotter() new_open_id = blotter.order(self.asset_24, 10, MarketOrder()) new_open_order = blotter.open_orders[self.asset_24][0] self.assertEqual(new_open_id, new_open_order.id) # Pretend that the trade simulation did this. blotter.new_orders = [] rejection_reason = "Not enough cash on hand." blotter.reject(new_open_id, reason=rejection_reason) rejected_order = blotter.new_orders[0] self.assertEqual(rejected_order.id, new_open_id) self.assertEqual(rejected_order.status, ORDER_STATUS.REJECTED) self.assertEqual(rejected_order.reason, rejection_reason) # You can't reject a filled order. # Reset for paranoia blotter = SimulationBlotter() blotter.slippage_models[Equity] = FixedSlippage() filled_id = blotter.order(self.asset_24, 100, MarketOrder()) filled_order = None blotter.current_dt = self.sim_params.sessions[-1] bar_data = self.create_bardata( simulation_dt_func=lambda: self.sim_params.sessions[-1], ) txns, _, closed_orders = blotter.get_transactions(bar_data) for txn in txns: filled_order = blotter.orders[txn.order_id] blotter.prune_orders(closed_orders) self.assertEqual(filled_order.id, filled_id) self.assertIn(filled_order, blotter.new_orders) self.assertEqual(filled_order.status, ORDER_STATUS.FILLED) self.assertNotIn(filled_order, blotter.open_orders[self.asset_24]) blotter.reject(filled_id) updated_order = blotter.orders[filled_id] self.assertEqual(updated_order.status, ORDER_STATUS.FILLED)
def test_order_rejection(self): blotter = SimulationBlotter() # Reject a nonexistent order -> no order appears in new_order, # no exceptions raised out blotter.reject(56) assert blotter.new_orders == [] # Basic tests of open order behavior open_order_id = blotter.order(self.asset_24, 100, MarketOrder()) second_order_id = blotter.order(self.asset_24, 50, MarketOrder()) assert len(blotter.open_orders[self.asset_24]) == 2 open_order = blotter.open_orders[self.asset_24][0] assert open_order.status == ORDER_STATUS.OPEN assert open_order.id == open_order_id assert open_order in blotter.new_orders # Reject that order immediately (same bar, i.e. still in new_orders) blotter.reject(open_order_id) assert len(blotter.new_orders) == 2 assert len(blotter.open_orders[self.asset_24]) == 1 still_open_order = blotter.new_orders[0] assert still_open_order.id == second_order_id assert still_open_order.status == ORDER_STATUS.OPEN rejected_order = blotter.new_orders[1] assert rejected_order.status == ORDER_STATUS.REJECTED assert rejected_order.reason == "" # Do it again, but reject it at a later time (after tradesimulation # pulls it from new_orders) blotter = SimulationBlotter() new_open_id = blotter.order(self.asset_24, 10, MarketOrder()) new_open_order = blotter.open_orders[self.asset_24][0] assert new_open_id == new_open_order.id # Pretend that the trade simulation did this. blotter.new_orders = [] rejection_reason = "Not enough cash on hand." blotter.reject(new_open_id, reason=rejection_reason) rejected_order = blotter.new_orders[0] assert rejected_order.id == new_open_id assert rejected_order.status == ORDER_STATUS.REJECTED assert rejected_order.reason == rejection_reason # You can't reject a filled order. # Reset for paranoia blotter = SimulationBlotter() blotter.slippage_models[Equity] = FixedSlippage() filled_id = blotter.order(self.asset_24, 100, MarketOrder()) filled_order = None blotter.current_dt = self.sim_params.sessions[-1] bar_data = self.create_bardata( simulation_dt_func=lambda: self.sim_params.sessions[-1], ) txns, _, closed_orders = blotter.get_transactions(bar_data) for txn in txns: filled_order = blotter.orders[txn.order_id] blotter.prune_orders(closed_orders) assert filled_order.id == filled_id assert filled_order in blotter.new_orders assert filled_order.status == ORDER_STATUS.FILLED assert filled_order not in blotter.open_orders[self.asset_24] blotter.reject(filled_id) updated_order = blotter.orders[filled_id] assert updated_order.status == ORDER_STATUS.FILLED